Quant finance editor
Mauro Cesa is quantitative finance editor for Risk.net, based in London. He leads the team responsible for the publication of quantitative research across all brands of the division.
The section of Risk.net he manages, Cutting Edge, publishes peer-reviewed papers on derivatives, asset and risk management, and commodities.
Mauro holds a degree in economics from the University of Trieste and a masters in quant finance from the University of Brescia.
TCA methodologies that ignore partial fills “might be off by 20% to 30%”
Deutsche Bank quant proposes a lean model to quickly produce benchmark prices
Quants find physical and transition risks can lead to significant rise in CVA
Darwin’s theory of natural selection could help quants detect flawed models and strategies
The technology behind Google’s AlphaGo has been strangely overlooked by quants
How the Libor transition inspired NatWest quant’s latest paper on exotic derivatives valuation
Ex-JP Morgan quant discusses his latest work and the risk failures that cost the bank $6bn in 2012
New valuation adjustment may lead to more efficient management of derivatives books
Can a centenarian maths idea speed up the calculation of forward sensitivities?
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
In the most realistic simulations, data-driven approach fared 30% worse than conventional hedging
Star quant proposes a new model for predicting changes in bond ratings
Chris Kenyon proposes a framework for optimising XVAs – from the client perspective
Quant proposes approach anchored by a dealer’s default rate rather than its return on equity
Differential machine learning produces results “thousands of times faster and with similar accuracy”
A new diversification measure appears to produce better results than mean-variance optimisation
Hedge fund quant, and Risk.net’s new columnist, shares his unique take on markets